We study the implications of conformism among analysts in a CARA Gaussian model of the market for a risky asset, where a trader's information is a message sent by an analyst.  Conformism increases the weight of the public information in the messages, decreasing their informativeness.  More...

We study price formation in securities markets, using the sequential trade framework of Glosten and Milgrom [7]. This paper makes one basic methodological advance over previous research on sequential securities trading: we allow traders to choose from n trade sizes in a multi-period market,...

This paper offers a simple but rich framework to study communication subject to various constraints such as anonymity requirements, equal treatment of multiple agents, overconfidence of an expert, and garbling, by extending the cheap talk model of Crawford and Sobel (1982). Common to these...

This paper links real investment policy to corporate risk management, endogenizing the costs of external financing. Previous literature finds investment efficiency linked to full hedging. In this model, a firm with proprietary information when deciding its investment in a valuable project, may...

In an economy with a fixed exchange rate regime that suffers a random adverse shock, we study the strategies of imperfectly and sequentially informed speculators that may trigger an endogenous devaluation before it occurs exogenously. The game played by the speculators has a unique symmetric...

We provide evidence that firms attempting IPOs condition offer terms and the decision whether to carry through with an offering on the experience of their primary market contemporaries. Moreover, while initial returns and IPO volume are positively correlated in the aggregate, the correlation is...

In this paper we address the question as to why fund managers may trade on short-term information in a financial market that offers more profitable trading on long-term information. We consider a setting in which a fund manager`s ability is unknown and an investor uses performance observations...

Using a stochastic sequential game in ergodic equilibrium, this paper models limit order book trading dynamics. It deduces investor surplus and some agents` strategies from depth`s stationarity, while bypassing altogether agents` intricate forecasting problems. Market inefficiency adjusts to...

Models of macroeconomic learning are populated by agents who possess a great deal of knowledge of the "true" structure of the economy, and yet ignore the impact of their own learning on that structure; they may learn about an equilibrium, but they do not learn within it.  An alternative learning...

Economic models of reputation make strong assumptions about the information available to players.  In particular, it is assumed that they know the entire history of the game to date.  Such models can seldom reproduce the cycling of reputations we observe in the real world.  We build a model...